Xin Zhang

Xin Zhang

Senior ekonom

Avdelningen för penningpolitik
Forskningsenheten
Sveriges Riksbank
SE-103 37 Stockholm, Sweden

Telefon + 46 8 787 05 73
E-post [email protected]

Econometrics, financial economics, credit risk, Fintech

Short bio

Xin Zhang obtained his Ph.D. in Finance from VU University Amsterdam and Tinbergen Institute. He also holds an M.Phil. in Econometrics and Finance from University of Amsterdam and Tinbergen Institute. He joined the research division at Sveriges Riksbank in 2012. His research areas include time series econometrics, financial economics, credit risk and quantitative finance.

Personal webpage: sites.google.com/site/zhangxinphd/


Education

Ph.D. in Finance, VU University Amsterdam and Tinbergen Institute
M.Phil. in Econometrics and Finance, University of Amsterdam
Bachelor in Economics, Statistics, Peking University


Publications in Refereed Journals

"Modeling Financial Sector Joint Tail Risk in the Euro Area", Journal of Applied Econometrics, Vol 32, (1), 2017, Pages 171–191, (with A. Lucas and B. Schwaab).

"Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting", International Journal of Forecasting, vol 32, 2016, pages 293 – 302, (with A. Lucas).

"Conditional Euro Area Sovereign Default Risk", Journal of Business and Economic Statistics, 32(2), 2014, 271-284, (with A. Lucas and B. Schwaab).


Policy publications

"A New Early Warning Indicator of Financial Fragility in Sweden", Economic Commentaries, No. 1. 2017, Sveriges Riksbank, Sweden, (with P. Giordani and E. Spector).


Working papers

"Monetary Normalizations and Consumer Credit: Evidence from Fed Liftoff and Online Lending", Sveriges Riksbank Working Paper Series No. 319, April 2016 (revised May 2017), (with C. Bertsch and I. Hull).

"House Prices, Home Equity, and Personal Debt Composition", Sveriges Riksbank Working Paper Series No. 343, October 2017, (with J. Li).

"The Role of Trust in Online Lending", Sveriges Riksbank Working Paper Series No. 346, November 2017 (with C. Bertsch, I. Hull and Y. Qi).

"Risk endogeneity at the lender/investor of last resort", (with D. Caballero, A. Lucas, and B. Schwaab).

"Tail Risk in Government Bond Markets and ECB Unconventional Policies", (with A. Lucas and B. Schwaab).

"Systemic Risk and Asset Prices", (with R Tédongap).

"Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails", (with D. Creal, S. J. Koopman and A. Lucas).


 Referee

Annals of Applied Statistics, Computational Statistics & Data Analysis, Empirical Economics, International Journal of Theoretical and Applied Finance, Journal of Applied Econometrics, Journal of Banking and Finance, Journal of Econometrics, Journal of Empirical Finance, Journal of Financial Econometrics, Journal of International Money and Finance, Journal of Money, Credit and Banking, Scandinavian Journal of Economics.